14
H index
16
i10 index
1137
Citations
Maynooth University | 14 H index 16 i10 index 1137 Citations RESEARCH PRODUCTION: 15 Articles 26 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 2 |
Journal of International Money and Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth | 11 |
Research Program in Finance Working Papers / University of California at Berkeley | 7 |
Year | Title of citing document |
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2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05. Full description at Econpapers || Download paper |
2022 | High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151. Full description at Econpapers || Download paper |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper |
2021 | Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077. Full description at Econpapers || Download paper |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper |
2021 | The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266. Full description at Econpapers || Download paper |
2021 | Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455. Full description at Econpapers || Download paper |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866. Full description at Econpapers || Download paper |
2021 | The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2021). Wu, Wei ; Shevchenko, Pavel V ; Penev, Spiridon. In: Papers. RePEc:arx:papers:2108.02633. Full description at Econpapers || Download paper |
2022 | Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250. Full description at Econpapers || Download paper |
2023 | A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482. Full description at Econpapers || Download paper |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper |
2022 | Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014. Full description at Econpapers || Download paper |
2022 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper |
2022 | A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391. Full description at Econpapers || Download paper |
2022 | Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828. Full description at Econpapers || Download paper |
2022 | Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042. Full description at Econpapers || Download paper |
2022 | Spectral and post-spectral estimators for grouped panel data models. (2022). Manresa, Elena ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:2212.13324. Full description at Econpapers || Download paper |
2023 | Estimation of Characteristics-based Quantile Factor Models. (2023). Gonzalo, Jesus ; Pan, Haozi ; Dolado, Juan Jose ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13206. Full description at Econpapers || Download paper |
2022 | Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787. Full description at Econpapers || Download paper |
2022 | FINANCIAL STABILITY, THE OBJECTIVE OF DEVELOPMENT FINANCIAL MARKETS. (2022). Elena, Radu. In: Management Strategies Journal. RePEc:brc:journl:v:55:y:2022:i:1:p:144-149. Full description at Econpapers || Download paper |
2022 | A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Wu, J ; Tang, H ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2237. Full description at Econpapers || Download paper |
2022 | A Structural Dynamic Factor Model for Daily Global Stock Market Returns. (2022). Tang, H ; Linton, O B ; Wu, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:camjip:2214. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710. Full description at Econpapers || Download paper |
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05. Full description at Econpapers || Download paper |
2021 | Recourse and (strategic) mortgage defaults: Evidence from changes in housing market laws. (2021). Vlahu, Razvan ; Popa, Radu ; Copaciu, Anca ; Andries, Alin Marius . In: Working Papers. RePEc:dnb:dnbwpp:727. Full description at Econpapers || Download paper |
2022 | A Comparative Study of the Fama-French Three Factor and the Carhart Four Factor Models: Empirical Evidence from Morocco. (2022). Abrache, Jawad ; Aguenaou, Samir ; Tazi, Omar. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-01-09. Full description at Econpapers || Download paper |
2022 | Temporal complementarity of marine renewables with wind and solar generation: Implications for GB system benefits. (2022). Jeffrey, Henry ; Bhattacharya, Saptarshi ; Angeloudis, Athanasios ; Coles, Daniel ; Pennock, Shona. In: Applied Energy. RePEc:eee:appene:v:319:y:2022:i:c:s030626192200633x. Full description at Econpapers || Download paper |
2021 | A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective. (2021). Zhang, Qun ; Wan, Wei ; Chen, Yue ; Liu, Hao. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002718. Full description at Econpapers || Download paper |
2021 | Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398. Full description at Econpapers || Download paper |
2021 | Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588. Full description at Econpapers || Download paper |
2021 | Estimation and inference in semiparametric quantile factor models. (2021). Gao, Jiti ; Linton, Oliver ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:295-323. Full description at Econpapers || Download paper |
2021 | Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450. Full description at Econpapers || Download paper |
2021 | Dynamic spatial panel data models with common shocks. (2021). Li, Kunpeng ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:134-160. Full description at Econpapers || Download paper |
2022 | Factor models with local factors — Determining the number of relevant factors. (2022). Freyaldenhoven, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:80-102. Full description at Econpapers || Download paper |
2023 | High dimensional semiparametric moment restriction models. (2023). GAO, Jiti ; Linton, Oliver ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:320-345. Full description at Econpapers || Download paper |
2021 | Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; Di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75. Full description at Econpapers || Download paper |
2021 | Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27. Full description at Econpapers || Download paper |
2022 | Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach. (2022). Li, Haitao ; Yu, Cindy L ; Zhang, Yixiao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:75-93. Full description at Econpapers || Download paper |
2021 | Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269. Full description at Econpapers || Download paper |
2022 | Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher . In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50. Full description at Econpapers || Download paper |
2022 | The COVID-19 storm and the energy sector: The impact and role of uncertainty. (2022). Bwanya, Princess Rutendo ; Charteris, Ailie ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988321001638. Full description at Econpapers || Download paper |
2022 | Integration of tidal energy into an island energy system – A case study of Orkney islands. (2022). Davies, Gareth ; Kerr, Sandy ; Woolf, David K ; Almoghayer, Mohammed A. In: Energy. RePEc:eee:energy:v:242:y:2022:i:c:s0360544221027961. Full description at Econpapers || Download paper |
2021 | Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Qian, Long ; Ni, Xuanming ; Liu, Jia ; Zhao, Huimin. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289. Full description at Econpapers || Download paper |
2022 | The cost of overconfidence in public information. (2022). Noh, Sanha ; Cho, Youngha ; Hwang, Soosung. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003070. Full description at Econpapers || Download paper |
2021 | Convergence in cryptocurrency prices? the role of market microstructure. (2021). Apergis, Nicholas ; Payne, James E ; Koutmos, Dimitrios. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319314114. Full description at Econpapers || Download paper |
2022 | Graph-based multi-factor asset pricing model. (2022). Lee, Jaewook ; Son, Bumho. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001136. Full description at Econpapers || Download paper |
2022 | Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x. Full description at Econpapers || Download paper |
2021 | On the stability of stock-bond comovements across market conditions in the Eurozone periphery. (2021). Lagoa-Varela, Dolores ; Flavin, Thomas J. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028318303144. Full description at Econpapers || Download paper |
2022 | Multi-population mortality modeling: When the data is too much and not enough. (2022). Tsai, Chenghsien Jason ; Kuo, Weiyu ; MacMinn, Richard D ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:41-55. Full description at Econpapers || Download paper |
2021 | 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337. Full description at Econpapers || Download paper |
2022 | The kernel trick for nonlinear factor modeling. (2022). Kutateladze, Varlam. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:165-177. Full description at Econpapers || Download paper |
2021 | Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977. Full description at Econpapers || Download paper |
2021 | Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods. (2021). Slaymaker, Rachel ; O'Toole, Conor ; Otoole, Conor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002272. Full description at Econpapers || Download paper |
2021 | Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675. Full description at Econpapers || Download paper |
2021 | Understanding momentum and reversal. (2021). Pruitt, Seth ; Moskowitz, Tobias J ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:726-743. Full description at Econpapers || Download paper |
2021 | Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692. Full description at Econpapers || Download paper |
2021 | Spectral factor models. (2021). Tamoni, Andrea ; Lo, Andrew W ; Chaudhuri, Shomesh E ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:214-238. Full description at Econpapers || Download paper |
2022 | The level, slope, and curve factor model for stocks. (2022). Clarke, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:159-187. Full description at Econpapers || Download paper |
2023 | What are the events that shake our world? Measuring and hedging global COVOL. (2023). Campos-Martins, Susana ; Engle, Robert F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:1:p:221-242. Full description at Econpapers || Download paper |
2023 | Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431. Full description at Econpapers || Download paper |
2021 | A semiparametric latent factor model for large scale temporal data with heteroscedasticity. (2021). Wang, Haonan ; Zhou, Wen ; Zhang, Lyuou. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000646. Full description at Econpapers || Download paper |
2021 | An empirical illustration of the integration of sovereign bond markets. (2021). Inaba, Kei-Ichiro. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:61:y:2021:i:c:s1042444x20300633. Full description at Econpapers || Download paper |
2021 | Measuring the stocks factor beta and identifying risk factors under market inefficiency. (2021). Semenov, Andrei . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649. Full description at Econpapers || Download paper |
2022 | Synthetic control methods for policy analysis: Evaluating the effect of the European Emission Trading System on aviation supply. (2022). Dalfonso, Tiziana ; Jiang, Changmin ; Liao, Sha ; Kang, Yicheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:162:y:2022:i:c:p:236-252. Full description at Econpapers || Download paper |
2022 | Estimating the Mortgage Default Probability in Cyprus: Evidence using micro data. (2022). Michail, Nektarios ; Kallenos, Theodosis ; Evangelou, Ioanna ; Antoniou, Savvas. In: Cyprus Economic Policy Review. RePEc:erc:cypepr:v:16:y:2022:i:1:p:37-49. Full description at Econpapers || Download paper |
2021 | Tides and Tidal Currents—Guidelines for Site and Energy Resource Assessment. (2021). Nastasi, Benedetto ; Barbarelli, Silvio. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6123-:d:643461. Full description at Econpapers || Download paper |
2021 | Tidal Stream vs. Wind Energy: The Value of Cyclic Power When Combined with Short-Term Storage in Hybrid Systems. (2021). Goss, Zoe ; Angeloudis, Athanasios ; Coles, Daniel ; Miles, Jon. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1106-:d:502201. Full description at Econpapers || Download paper |
2021 | Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market. (2021). Ceylan, Burak ; Kizil, Cevdet ; Muzir, Erol . In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:125-:d:517617. Full description at Econpapers || Download paper |
2021 | Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19. (2021). Bhatti, Muhammad ; Manzoor, Muhammad Saqib ; Iqbal, Najam. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:314-:d:590930. Full description at Econpapers || Download paper |
2021 | Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy. (2021). Gambetti, Luca ; Forni, Mario. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:371-:d:613706. Full description at Econpapers || Download paper |
2023 | The Econometrics of Factor Loadings and Implications for Monetary Policy in a Small Open Economy (2005- 2020) – Sierra Leone. (2023). Warburton, Christopher ; Jackson, Emerson A. In: Journal of Economic Policy Researches. RePEc:ist:iujepr:v:10:y:2023:i:1:p:19-35. Full description at Econpapers || Download paper |
2021 | Equilibrium asset pricing and the cross section of expected returns. (2021). Vanden, Joel M. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-021-00383-7. Full description at Econpapers || Download paper |
2022 | Some properties of portfolios constructed from principal components of asset returns. (2022). Severini, Thomas A. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:4:d:10.1007_s10436-022-00412-z. Full description at Econpapers || Download paper |
2022 | Meeting investor outflows in Czech bond and equity funds: horizontal or vertical?. (2022). Szabo, Milan. In: Empirica. RePEc:kap:empiri:v:49:y:2022:i:4:d:10.1007_s10663-022-09553-w. Full description at Econpapers || Download paper |
2022 | Nowcasting the Maltese economy with a dynamic factor model. (2022). Ruisi, Germano ; Ellul, Rueben . In: CBM Working Papers. RePEc:mlt:wpaper:0222. Full description at Econpapers || Download paper |
2022 | Drivers of household arrears: an euro area country panel data analysis. (2022). Lenari, RT. In: MPRA Paper. RePEc:pra:mprapa:114558. Full description at Econpapers || Download paper |
2021 | Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:510. Full description at Econpapers || Download paper |
2021 | A further analysis of robust regression modeling and data mining corrections testing in global stocks. (2021). Markowitz, Harry ; Xu, Ganlin ; Guerard, John B. In: Annals of Operations Research. RePEc:spr:annopr:v:303:y:2021:i:1:d:10.1007_s10479-020-03521-y. Full description at Econpapers || Download paper |
2022 | Risk factor extraction with quantile regression method. (2022). Sun, Edward W ; Lai, Wan-Ni. In: Annals of Operations Research. RePEc:spr:annopr:v:316:y:2022:i:2:d:10.1007_s10479-022-04709-0. Full description at Econpapers || Download paper |
2022 | Nowcasting the GDP in Taiwan and the Real-Time Tourism Data. (2022). Hsiao, Yi-Long ; Ting, Chien-Jung. In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:12:y:2022:i:3:f:12_3_2. Full description at Econpapers || Download paper |
2022 | Application of the Real-Time Tourism Data in Nowcasting the Service Consumption in Taiwan. (2022). Su, Rui-Jun ; Hsiao, Yi-Long ; Ting, Chien-Jung. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:12:y:2022:i:4:f:12_4_4. Full description at Econpapers || Download paper |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111. Full description at Econpapers || Download paper |
2021 | Robust Inference for Diffusion-Index Forecasts with Cross-Sectionally Dependent Data. (2021). Kim, Min Seong. In: Working papers. RePEc:uct:uconnp:2021-04. Full description at Econpapers || Download paper |
2021 | A large constrained time?varying portfolio selection model with DCC?MIDAS: Evidence from Chinese stock market. (2021). He, Yaoyao ; Jiang, Cuixia ; Zuo, Junqing ; Xu, Qifa. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3417-3435. Full description at Econpapers || Download paper |
2021 | Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights. (2021). Ahmad, Zamri ; Tuyon, Jasman. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5793-5814. Full description at Econpapers || Download paper |
2022 | Why do sukuks (Islamic bonds) need a different pricing model?. (2022). Liu, Jia ; Hossain, Mohammed S ; Hassan, Mohammad Kabir ; Kabir, Sarkar H ; Uddin, Md Hamid. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2210-2234. Full description at Econpapers || Download paper |
2021 | Is idiosyncratic risk conditionally priced?. (2021). Mehra, Rajnish ; Xie, Daruo ; Wahal, Sunil. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:2:p:625-646. Full description at Econpapers || Download paper |
2021 | Using Principal Component Analysis to create an index of financial conditions in Spain. Differences by firm size and industry. (2021). Román-Aso, Juan ; Villalba, Fernando Coca ; Roman-Aso, Juan A ; Frigola, Irene Bosch ; Franks, Vanessa Mastral. In: EconStor Preprints. RePEc:zbw:esprep:234038. Full description at Econpapers || Download paper |
2022 | Hedge Fund Performance: A Quantitative Survey. (2022). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:260612. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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1993 | A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance. [Full Text][Citation analysis] | article | 235 |
2012 | Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy. [Full Text][Citation analysis] | article | 2 |
2006 | Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 31 |
2007 | Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | article | |
2006 | Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2007 | Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 13 |
2007 | Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2007 | Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2007 | Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2015 | A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 2 |
2012 | Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica. [Full Text][Citation analysis] | article | 46 |
2006 | The common and specific components of dynamic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
1984 | A unified beta pricing theory In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 77 |
1986 | Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 291 |
1988 | Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 228 |
2015 | Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics. [Full Text][Citation analysis] | article | 7 |
2012 | The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 25 |
2010 | The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics Department Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2013 | Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 18 |
2012 | Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics Department Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2006 | Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy. [Full Text][Citation analysis] | article | 21 |
2004 | An Introduction to hedge funds In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
2001 | Tests of the Fama and French model in India In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 17 |
2009 | Market Dispersion and the Profitability of Hedge Funds In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2009 | The Risky Lending Gap In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
2012 | A Coasean Approach to Bank Resolution Policy in the Eurozone In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2013 | Irish Mortgage Default Optionality In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2014 | Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | A Performance Comparison of Large-n Factor Estimators In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2018 | A Performance Comparison of Large-n Factor Estimators.(2018) In: The Review of Asset Pricing Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2015 | Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2016 | -Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2010 | Portfolio Risk Analysis In: Economics Books. [Citation analysis] | book | 24 |
1985 | Arbitrage Pricing Theory: The Way Forward In: Australian Journal of Management. [Full Text][Citation analysis] | article | 1 |
1987 | Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 23 |
1987 | Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 14 |
1987 | New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 0 |
1987 | An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 2 |
1988 | The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 12 |
1990 | The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 0 |
1995 | Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers. [Citation analysis] | paper | 3 |
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